房貸違約分析之探討-固定利率房貸與指數型房貸之選擇

Mortgage Default Analysis-Choice Between Fixed-Rate and Adjustable-Rate Mortgages

石宜璇(I-Hsuan Shih)

指導教授 ： 林哲群

國立清華大學/科技管理學院/科技管理研究所/碩士(2007年)

摘要

評價住宅抵押貸款的困難點在於其現金流量的不規則性，其中提前清償與違約事件是導致不確定現金流量的主因。近幾年台灣的房貸市場不停擴大，房貸餘額節節攀升，但家庭所得的成長卻十分有限。過往在進行房貸違約分析時，判斷借款人是否違約的要件考慮的僅有房價的變動，並未就所得變動的部份做探討，因此導致違約機率的高估的可能。本文同時考量房價與所得的變動將如何影響到借款人的違約決策，並就四種不同的契約類型—固定利率房屋貸款（Fixed-Rate Mortgage，FRM）、Price Level Adjusted Mortgages (PLAM)、Variable-Rate Mortgages (VRM)、指數型房屋貸款(Adjustable-Rate Mortgages，ARM) 以蒙地卡羅法進行模擬並作結果的分析比較。

最後發現到若僅就房價與利率的變動去進行違約分析將會得到高估的機率值。而雖然FRM會有最低的違約機率，但銀行必須承擔利率風險；指數型房貸契約則以ARM會產生最理想的違約機率。

關鍵字

住宅抵押貸款 ； 違約機率

並列摘要

The difficulty of pricing mortgages lies in the uncertainty of the cash flow and this uncertainty comes from the default and prepayment. The previous studies use only the stochastic processes of interest rate and house price to analyze the default and prepayment decisions and generate overestimated results for they ignore the household income can also affect the decisions. This study includes the household income process to analyze the default conditions of four types of mortgage, Fixed-Rate Mortgage, Price Level Adjusted Mortgages, Variable-Rate Mortgages, and Adjustable-Rate Mortgages, by Monte Carlo simulation and then compares the results in order to give some suggestions about choosing mortgages.

The results show that the default probabilities which are generated from the simulation incorporating interest rate and house price only are overestimated. Although the default probability of FRM is the lowest of all, the banks issuing FRM must bear the whole interest rate risk. Therefore, ARM will be the appropriate mortgage for banks to release for it has a relatively low default probability and the borrowers have to share the interest rate risk with banks.

並列關鍵字

mortgage ； default analysis

參考文獻

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